SFML_STATIC
The file holding my exe has the system, graphic and window .dll files, and the debug file in my project has all the d.dll files. What did I do wrong? I hope this is enough information to help me.

4. Open a command prompt and change directory to the MinGW folder in the codeblocks folder.
"C:\Program Files (x86)\CodeBlocks\MinGW" on my system. Keep this CMD window open.

5. Run mingwvars.bat from command prompt.

6. Run cmake-gui from the command prompt.

7. In cmake-gui browse to where the SFML-2.0-sources folder was extracted and set the subdirectory SFML-2.0
to where the source is. ex: C:/Users/Sean/Downloads/SFML-2.0-sources/SFML-2.0

8. Set where to build binaries, I use a build directory in the source tree.
ex: C:/Users/Sean/Downloads/SFML-2.0-sources/build
You do not need to create the directory before hand, cmake will ask if you want it to create it.

10. After it is done configuring click generate. This will generate makefiles for release shared (DLL) build.
Keep cmake open, we will repeat these steps for release static, debug shared, and debug static.

11. Open Code::blocks, select open existing project. Browse to the directory where files
were generated, SFML-2.0-sources/build in step 8.

12. Select SFML.cbp, make sure "all" is set as build target and click build.

13. If build was successful, and it should be, change build target to install and click build
it should install to C:\Program Files (x86)\SFML (you may need to elevate privileges to install here)

14. If you want the configurations (release static, debug shared, and debug static) go back to cmake window
change release to debug and/or uncheck build shared libs. Ideally you should have 4 configurations
built but it isn't necessary.

Setting up Code::Blocks:

15. After all the libs are built and installed, close the SFML project and select File>New>Project.
In the "New from template" window scroll down and select SFML project.

16. In the project wizard name the project and click next.

17. The wizard will ask the location of SFML, set this to where SFML was installed
("C:\Program Files (x86)\SFML" for me) and click next.

18. Check create "debug" configuration and click finish.

19. If all went well the project should be created. open the generated source file "main.cpp"
Don't run it, it wont compile it was written in SFML-1.6. Replace it with the code at the bottom
of this page http://sfml-dev.org/tutorials/2.0/start-cb.php

20. Click build, it should compile without issue. Click run, it should produce an error about the SFML
DLLs being missing. Copy them from "C:\Program Files (x86)\SFML\bin" to <project folder>\bin\Debug|Release